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Movements in the term structure of interest rates

Citations

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Cited by:

  1. Borus Jungbacker & Siem Jan Koopman & Michel Wel, 2014. "Smooth Dynamic Factor Analysis With Application To The Us Term Structure Of Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 65-90, January.
  2. Hans Dewachter & Konstantijn Maes & Kristien Smedts, 2003. "Monetary unification and the price of risk: An unconditional analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 139(2), pages 276-305, June.
  3. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October.
  4. Drobyshevsky Sergey & Lugovoy Oleg & Astafieva Ekaterina & Burkova N. Yu., 2009. "Modeling the term structure of interest rates on Russian government bonds in 2000 – 2008," Research Paper Series, Gaidar Institute for Economic Policy, issue 130P.
  5. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
  6. Huse, Cristian, 2011. "Term structure modelling with observable state variables," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3240-3252.
  7. Roncoroni, Andrea & Galluccio, Stefano & Guiotto, Paolo, 2010. "Shape factors and cross-sectional risk," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2320-2340, November.
  8. C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating Yield Curves in Turkey: Factor Analysis Approach," Working Papers 2004/04, Bogazici University, Department of Economics.
  9. repec:hum:wpaper:sfb649dp2008-017 is not listed on IDEAS
  10. Laruent Barras, 2005. "International Conditional Asset Allocation under Real Time Uncertrainty," FAME Research Paper Series rp153, International Center for Financial Asset Management and Engineering.
  11. Grochola, Nicolaus, 2023. "The influence of negative interest rates on life insurance companies," ICIR Working Paper Series 53/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  12. Soto, Gloria M., 2004. "Duration models and IRR management: A question of dimensions?," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1089-1110, May.
  13. Kargin, V. & Onatski, A., 2008. "Curve forecasting by functional autoregression," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2508-2526, November.
  14. Blaskowitz, Oliver J. & Herwartz, Helmut, 2008. "Adaptive forecasting of the EURIBOR swap term structure," SFB 649 Discussion Papers 2008-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  15. Olesya Grishchenko & Franck Moraux & Olga Pakulyak, 2020. "Fuel up with OATmeals! The case of the French nominal yield curve," Post-Print halshs-02980563, HAL.
  16. Nuno Cassola & Jorge Barros Luis, 2003. "A two-factor model of the German term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 13(11), pages 783-806.
  17. Giulio Tarditi, 2011. "Affine Term Structure Constraints on Euribor data," Department of Economics University of Siena 613, Department of Economics, University of Siena.
  18. Ramona Busch & Christoph Memmel, 2016. "Quantifying the components of the banks’ net interest margin," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 371-396, November.
  19. Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005. "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers 2005-04, Christian-Albrechts-University of Kiel, Department of Economics.
  20. Kannan S. Thuraisamy, 2015. "Volatility Dynamics in the Term Structure of Latin American Sovereign International Bonds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(5), pages 859-866, September.
  21. Raviv, Eran, 2015. "Prediction bias correction for dynamic term structure models," Economics Letters, Elsevier, vol. 129(C), pages 112-115.
  22. repec:hum:wpaper:sfb649dp2007-023 is not listed on IDEAS
  23. Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni, 2021. "Mind the (Convergence) Gap: Bond Predictability Strikes Back!," Management Science, INFORMS, vol. 67(12), pages 7888-7911, December.
  24. Perignon, Christophe & Smith, Daniel R. & Villa, Christophe, 2007. "Why common factors in international bond returns are not so common," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 284-304, March.
  25. Koopman, Siem Jan & van der Wel, Michel, 2013. "Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model," International Journal of Forecasting, Elsevier, vol. 29(4), pages 676-694.
  26. Robert N. Killins & Haiwei Chen, 2022. "The impact of the yield curve on the equity returns of insurance companies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1134-1153, January.
  27. Oliver Blaskowitz & Helmut Herwartz, 2009. "Adaptive forecasting of the EURIBOR swap term structure," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 575-594.
  28. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
  29. Raúl Susmel & Madhu Kalimipalli, 2001. "Regime-Switching Stochastic Volatility and Short-Term Interest Rates," CEMA Working Papers: Serie Documentos de Trabajo. 197, Universidad del CEMA.
  30. Dennis Philip & Chihwa Kao & Giovanni Urga, 2007. "Testing for Instability in Factor Structure of Yield Curves," Center for Policy Research Working Papers 96, Center for Policy Research, Maxwell School, Syracuse University.
  31. Argyropoulos Efthymios & Tzavalis Elias, 2015. "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 49-70, February.
  32. Christophe PÉRIGNON & Christophe VILLA, 2002. "Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates," FAME Research Paper Series rp53, International Center for Financial Asset Management and Engineering.
  33. Busch, Ramona & Memmel, Christoph, 2015. "Banks' net interest margin and the level of interest rates," Discussion Papers 16/2015, Deutsche Bundesbank.
  34. Edward N. Gamber (CBO), 2017. "Did Treasury Debt Markets Anticipate the Persistent Decline in Long-Term Interest Rates?: Working Paper 2017-07," Working Papers 53153, Congressional Budget Office.
  35. Marc†Gregor Czaja & Hendrik Scholz & Marco Wilkens, 2010. "Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany," European Financial Management, European Financial Management Association, vol. 16(1), pages 124-154, January.
  36. Blaskowitz, Oliver J. & Herwartz, Helmut & Cadenas Santiago, Gonzalo de, 2005. "Modeling the FIBOR/EURIBOR swap term structure: An empirical approach," SFB 649 Discussion Papers 2005-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  37. Nagy, Krisztina, 2020. "Term structure estimation with missing data: Application for emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 347-360.
  38. Johan Hagenbjörk & Jörgen Blomvall, 2019. "Simulation and evaluation of the distribution of interest rate risk," Computational Management Science, Springer, vol. 16(1), pages 297-327, February.
  39. Marcelo Ochoa, 2006. "Interpreting an Affine Term Structure Model for Chile," Working Papers Central Bank of Chile 380, Central Bank of Chile.
  40. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
  41. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
  42. Bams, Dennis & Schotman, Peter C., 2003. "Direct estimation of the risk neutral factor dynamics of Gaussian term structure models," Journal of Econometrics, Elsevier, vol. 117(1), pages 179-206, November.
  43. Martin Cihak, 2004. "Stress Testing: A Review of Key Concepts," Research and Policy Notes 2004/02, Czech National Bank.
  44. Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
  45. Zura Kakushadze & Willie Yu, 2020. "Machine Learning Treasury Yields," Bulletin of Applied Economics, Risk Market Journals, vol. 7(1), pages 1-65.
  46. Memmel, Christoph & Heckmann-Draisbach, Lotta, 2023. "Banks' net interest margin and changes in the term structure," Discussion Papers 11/2023, Deutsche Bundesbank.
  47. Zura Kakushadze & Willie Yu, 2020. "Machine Learning Treasury Yields," Papers 2003.05095, arXiv.org.
  48. Argyropoulos, Efthymios & Tzavalis, Elias, 2016. "Forecasting economic activity from yield curve factors," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 293-311.
  49. Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
  50. Emrah Ahi & Vedat Akgiray & Emrah Sener, 2018. "Robust term structure estimation in developed and emerging markets," Annals of Operations Research, Springer, vol. 260(1), pages 23-49, January.
  51. Kanjilal, Kakali, 2013. "Factors causing movements of yield curve in India," Economic Modelling, Elsevier, vol. 31(C), pages 739-751.
  52. J.Marcelo Ochoa, 2006. "An interpretation of an affine term structure model of Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 33(2 Year 20), pages 155-184, December.
  53. Christoph Memmel, 2014. "Banks' interest rate risk: the net interest income perspective versus the market value perspective," Quantitative Finance, Taylor & Francis Journals, vol. 14(6), pages 1059-1068, June.
  54. repec:hum:wpaper:sfb649dp2005-024 is not listed on IDEAS
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